Shaima al-Sabbagh was killed during a leftist march Saturday in which participants were to place wreaths at a memorial in honour of protesters killed during the past four years.
The government and police have said they are investigating the shooting, which happened ahead of the January 25 anniversary of the 2011 revolt that toppled veteran leader Hosni Mubarak.
On Thursday, about 50 women, some carrying flowers, demonstrated near Talaat Harb Square chanting "the interior ministry are thugs" and "down with military rule".
Some held up pictures of Interior Minister Mohamed Ibrahim bearing the words: "Wanted, killer of Shaima al-Sabbagh".
On the opposite side of street, police watched on as members of a rival demonstration chanted: "Terrorists and traitors who want to destroy the country".
The protests ended without incident.
At least 1,400 people have been killed in a sweeping crackdown on dissent since the army, led by now President Abdel Fattah al-Sisi, overthrew the democratically elected Islamist leader Mohamed Morsi in July 2013.
But the death of the 34-year-old mother, which was partly filmed, has galvanised leftists and others who oppose the new government, including Islamists.
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Sabbagh's Socialist Popular Alliance, a small leftist party, was among the groups that opposed Morsi's divisive year in power before turning against his successor Sisi over a heavy handed crackdown.
In November 2013, the authorities banned all but police-sanctioned protests, which was defied by some secularists who were later arrested and jailed for up to 15 years.
One police general spoke through a megaphone to the anti-government demonstrators on Thursday, saying: "This is an unlicensed protest and we fear for your safety.
"We don't want anyone to infiltrate your group and for the scenario that happened with Shaima to be repeated," he added.
The interior ministry says it is investigating Sabbagh's death and will hand over any policeman implicated.
But police are accused of acting with impunity, and government officials have already said Sabbagh was not killed by police-issued birdshot rounds.
Her party and fellow protesters said she was shot when police dispersed Saturday's march.
Investigators have said the birdshot that killed Sabbagh was also used by police, but an official told AFP there were orders not to make public any other details pending the prosecution's investigation.